Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0295 |
| Annualized Std Dev | 0.2842 |
| Annualized Sharpe (Rf=0%) | -0.1037 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3210.0000 |
| NAs | 1.0000 |
| Minimum | -0.1266 |
| Quartile 1 | -0.0074 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0083 |
| Maximum | 0.1942 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0179 |
| Skewness | -0.0736 |
| Kurtosis | 13.4085 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0128 |
| Loss Deviation | 0.0145 |
| Downside Deviation (MAR=210%) | 0.0175 |
| Downside Deviation (Rf=0%) | 0.0130 |
| Downside Deviation (0%) | 0.0130 |
| Maximum Drawdown | 0.8208 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0447 |
| Modified VaR (95%) | -0.0249 |
| Modified ES (95%) | -0.0249 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-19 | 2012-07-24 | NA | -0.8208 | 3211 | 1033 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | -1 | -1.6 | -1 | -0.5 | 1.4 | -9.8 | 0.8 | -11.6 |
| 2009 | -1.9 | -0.8 | 1.5 | 3.5 | 3.1 | -1.3 | 4.2 | -2 | -3.2 | -2.9 | 1.3 | -0.4 | 0.9 |
| 2010 | 1.5 | -0.3 | 1.2 | -0.2 | -2 | 1.8 | -1.5 | 2.7 | 1.2 | -1.2 | 2.6 | 1.2 | 7 |
| 2011 | 1.8 | -1.7 | 0.9 | 0.6 | -3.2 | 1.7 | -1.3 | -2.5 | -1.9 | -4.1 | -0.7 | 1 | -9.2 |
| 2012 | 2.1 | 0 | 0.6 | 0.9 | -1.5 | 5.3 | -0.8 | 3.4 | 0.8 | 0.8 | 0.2 | 2.5 | 15.1 |
| 2013 | 0.5 | -0.1 | -1.1 | -0.5 | -1.4 | 0.7 | 1.7 | -0.5 | 2.7 | -0.3 | 0.6 | 0.2 | 2.3 |
| 2014 | -1.2 | 1.1 | 1.9 | 0.2 | 0.5 | -0.1 | -1.4 | -0.2 | -0.8 | 0.8 | -1.2 | -1.2 | -1.5 |
| 2015 | -1.2 | 0.9 | 1.5 | 1 | -1 | 0.9 | 0.4 | -2.4 | 0.8 | 0.1 | 0.9 | -1 | 0.9 |
| 2016 | -0.1 | 0.9 | 0.6 | 1.7 | 1.1 | 0.4 | -0.4 | 0.3 | -0.3 | -0.8 | -0.7 | 0.9 | 3.6 |
| 2017 | 0.7 | 1.2 | 1.2 | 0.4 | 0.3 | 0.9 | -0.2 | -0.5 | 0.5 | -0.1 | -0.4 | 0.6 | 4.5 |
| 2018 | -1.1 | -1 | 0.5 | -0.3 | -0.1 | 1.7 | -1 | -0.6 | -0.8 | 3.1 | 0.5 | 1.1 | 2 |
| 2019 | 0.8 | 0 | 0.4 | -0.5 | -0.6 | 0.8 | -0.2 | 0.5 | -0.4 | 0.9 | 0.4 | 0.5 | 2.7 |
| 2020 | -0.5 | -0.9 | -4.6 | -2 | 1 | -0.2 | -0.5 | -0.1 | 2.5 | -0.2 | 1 | -0.3 | -4.9 |
| 2021 | 1.3 | 2.1 | 1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-06-18 31.4 SPY 134. -0.0097 0.0023 -0.0615 0.0302 -0.124 0.106 0.321 GLD 88.3 1.18e-2 0.0145
2 2008-06-19 31.1 SPY 134. 0.0013 -0.0002 -0.0526 0.0177 -0.111 0.108 0.323 GLD 88.4 1.60e-3 0.0329
3 2008-06-20 30.7 SPY 132. -0.0161 -0.0287 -0.0519 -0.0183 -0.130 0.0894 0.322 GLD 89.0 6.00e-3 0.0364
4 2008-06-23 30.8 SPY 131. -0.001 -0.0351 -0.0578 -0.0252 -0.127 0.0822 0.322 GLD 87.1 -2.09e-2 0.0009
5 2008-06-24 30.3 SPY 131. -0.002 -0.0323 -0.0469 -0.0151 -0.124 0.0791 0.333 GLD 87.5 4.40e-3 0.0025
6 2008-06-25 30.2 SPY 132. 0.0047 -0.0182 -0.0494 -0.0073 -0.111 0.0997 0.338 GLD 87.4 -6.00e-4 -0.0097
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
